Sympathize with the villian? Why the hell would you want to do that? What's with this stupid surge of either Dark Lords or sympathetic villians? People can sympathize with someone just by you giving logical motives consistent with his character and then carrying them out. There's no real reason to, say, make him have a tragic past or anything.
A great villian is like any great character. No one can tell you what the hell makes a great villian, because there are different types of great villians. Make the person realistic, not black-and-white, but he can truly believe himself to be a villian. It's not like "Oh, he thinks he's right" means that the guy is a complex and realistic character---it means he'll probably be a mediocre villian you'll probably forget after you put down the book. There's a whole range of reasons that someone would be a villian.
So, what makes a great character?
Hard to say. Different tastes. Personally, I like my villians quirky and mysterious, but not obviously so. Just a guy who has little snippets of an interesting (but please, not tragic) past shown through off-side comments in dialogue, who has these little quirks. Great characters do great things as well---amazing scenes that'll leave the reader remembering the event and wanting to go back and re-read it when the chapter ends. The cold-blooded murder of one of the main characters. The last link of a devestating plan falling into place.
Memorable villians do memorable things, have memorable characteristics, and act in a memorable fashion. Who is going to remember a villian who basically just sends boring, basic cut-throats after the villian, or sends incompetent hirelings to kidnap her, or whatever. On the same note, who remembers the sympathetic villian that is ultimate just...another sympathetic villian? These are basic little things. A memorable villian can lull a person into a false sense of security and then strip everything away from the character in an instant. For instance: [spoilers for Tad William's The War of Flowers] Lord Hellebore resurrects a great dragon, of a forbidden art, with a four-hundred foot wingspan, and it completely incinerates the conference room of all his rivals gathered to form a peace treaty with him, turning them to ash and turning glass to liquid and killing hundreds of innocent people in the building. That's a pretty memorable scene.
[Spoilers over]
Seriously, I can't tell you how to make a villian. Just don't make him a basic villian that goes "I want the hero for so-and-so reason, go and kidnap the hero'.